Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 1 | 1 | 1 |
| Score | -8.88 | -7.65 | -11.02 |
| Market Cap (Millions USD) | 4269.7 | 4072.34 | 3890.57 |
| Predicted Beta | 0.63 | 0.67 | 0.7 |
| Idiosyncratic Volatility | 3.88 | 5.02 | 5.75 |
Annualized return and volatility
| EWY | |
|---|---|
| Annualized Return | 0.0703 |
| Annualized Std Dev | 0.3330 |
| Annualized Sharpe (Rf=0%) | 0.2112 |
Row
Daily Return Statistics
| EWY | |
|---|---|
| Observations | 5020.0000 |
| NAs | 94.0000 |
| Minimum | -0.1648 |
| Quartile 1 | -0.0093 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0106 |
| Maximum | 0.2242 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0004 |
| Stdev | 0.0210 |
| Skewness | 0.4837 |
| Kurtosis | 12.2654 |
Downside Risk
| EWY | |
|---|---|
| Semi Deviation | 0.0147 |
| Gain Deviation | 0.0157 |
| Loss Deviation | 0.0153 |
| Downside Deviation (MAR=210%) | 0.0190 |
| Downside Deviation (Rf=0%) | 0.0145 |
| Downside Deviation (0%) | 0.0145 |
| Maximum Drawdown | 0.7414 |
| Historical VaR (95%) | -0.0316 |
| Historical ES (95%) | -0.0486 |
| Modified VaR (95%) | -0.0258 |
| Modified ES (95%) | -0.0258 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2017-05-15 | -0.7414 | 2442 | 273 | 2169 |
| 2000-06-12 | 2001-09-20 | 2002-03-06 | -0.5077 | 441 | 325 | 116 |
| 2002-04-24 | 2003-03-31 | 2003-10-13 | -0.3819 | 380 | 242 | 138 |
| 2018-01-29 | 2019-08-14 | NA | -0.3436 | 490 | 395 | NA |
| 2004-04-13 | 2004-08-03 | 2005-01-18 | -0.2795 | 197 | 80 | 117 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWY | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | -0.3 | 0.0 | 1.7 | 0.3 | 0.0 | 4.6 | 1.5 | 0.0 | 7.9 |
| 2001 | -0.9 | 1.7 | 0.0 | 1.9 | -1.7 | 0.0 | 5.6 | 0.0 | 0.5 | 5.5 | 0.0 | 0.0 | 13.0 |
| 2002 | -1.1 | 2.4 | -1.7 | -0.4 | 0.0 | -2.1 | -1.4 | 0.0 | 5.3 | -1.6 | 0.0 | 0.0 | -0.9 |
| 2003 | 0.0 | 0.0 | 1.6 | 0.1 | 0.0 | 1.1 | 2.0 | 0.0 | 4.4 | 0.0 | 4.9 | 0.0 | 14.8 |
| 2004 | 0.0 | 1.1 | 1.4 | 0.0 | 0.0 | -2.8 | 0.0 | 2.1 | 3.1 | 0.0 | 1.6 | 0.0 | 6.3 |
| 2005 | -0.2 | 0.8 | 1.2 | 0.0 | 0.9 | 1.2 | 1.3 | 2.3 | 0.0 | 1.9 | 2.6 | 0.0 | 12.8 |
| 2006 | -1.5 | 1.8 | 0.0 | 0.6 | 1.1 | 0.0 | -2.5 | 1.4 | 0.0 | -0.3 | 0.0 | 0.0 | 0.5 |
| 2007 | 2.6 | -1.5 | 0.0 | 0.8 | 2.0 | 0.0 | -2.4 | 0.0 | 4.1 | -4.6 | 0.0 | 0.0 | 0.7 |
| 2008 | 1.6 | 0.0 | 4.3 | 1.4 | 0.0 | -0.9 | -1.0 | 0.0 | -1.7 | 0.0 | -8.9 | 0.0 | -5.6 |
| 2009 | 0.0 | 0.0 | 4.5 | 1.5 | 3.6 | 3.2 | 0.0 | 0.6 | -4.2 | 0.0 | 2.7 | 0.0 | 12.3 |
| 2010 | 2.4 | 1.5 | 3.2 | 0.0 | -1.2 | 0.4 | 0.0 | 3.9 | 1.8 | 1.8 | 3.1 | 0.0 | 18.1 |
| 2011 | 3.1 | -1.5 | 2.2 | 0.0 | -1.6 | 1.6 | 0.3 | -1.2 | 0.0 | -1.6 | -0.1 | 0.0 | 1.1 |
| 2012 | 1.5 | 0.7 | 0.0 | 0.6 | -2.3 | 0.0 | 0.5 | 0.0 | 0.9 | 0.9 | 0.0 | 0.0 | 2.8 |
| 2013 | -0.1 | 0.4 | -1.0 | -1.0 | 0.0 | 1.1 | 1.1 | 0.0 | 1.5 | 0.7 | 0.0 | 0.0 | 2.7 |
| 2014 | 0.0 | 0.0 | 1.3 | 0.5 | 0.0 | 0.8 | 0.8 | 0.0 | -2.6 | 0.0 | -0.8 | 0.0 | -0.1 |
| 2015 | 0.0 | 0.0 | 0.3 | 0.0 | -1.0 | 1.1 | 0.0 | -2.1 | 1.6 | 0.0 | 1.7 | 0.0 | 1.6 |
| 2016 | -0.3 | 2.8 | -1.4 | 0.0 | 0.4 | 1.5 | 0.7 | 0.5 | 0.0 | -0.8 | 0.4 | 0.0 | 3.7 |
| 2017 | 0.0 | 0.7 | 0.0 | 0.6 | 0.0 | 0.0 | 0.8 | 0.3 | 0.0 | 2.0 | -0.1 | 0.0 | 4.3 |
| 2018 | -1.4 | -0.5 | 0.0 | -0.5 | 1.9 | 0.0 | -0.7 | 0.0 | -0.5 | 2.1 | 0.0 | 0.0 | 0.4 |
| 2019 | -1.1 | 0.1 | 2.0 | -0.8 | 0.0 | -0.4 | -1.3 | 0.0 | -0.5 | 2.0 | 0.0 | -0.8 | -0.8 |
Row
Rolling Performance Chart
Snail Trail Chart
